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What do you even see? The fact that a reduction in the number of trades leads to stability of the TS on the history is clear.
If I've made mistakes in my codes a couple of times, as a result of which EAs traded only in one direction (only Buy/Sell), then the profitability increased.
So you can trade with two EAs, one with a buy only error, the other with a sell only error. And it will be a grail in total:)))
But I could not learn to deliberately make such errors :))
So you can trade with two EAs, one with a buy only error, the other with a sell only error. And it will be a grail in total:)))
......................
Optimisation.
The input is signal results - the output is a histogram with frequencies. Horizontal axis is frequencies, vertical axis - results of trades. Frequencies can be calculated using different parameters.
Did you mean to say " .... ... with different methodologies"?
Or is the methodology the same, but different parameters, i.e. input vectors?
..............
And another question concerning the histogram:
It turns out that on the period studied to get the AFC (3 months) the TC showed a highly profitable result?
How many trades were there in three months?
And could you attach a picture of the activity spectrum by number of trades (like DC2008)...
I also don't quite understand what the frequency of 257 is in the case of crossover. Also, what is the difference between filters - filter1, filter2...
Frequency is a kind of price fluctuation in the market. The price swing can be up or down. (hence filter 1, filter 2) Every tick the frequency can change.
My market is divided into 512 frequencies. i.e. the minimum frequency of oscillation is 1 and the maximum 512.
Frequency 257, from the histogram above, is the frequency at which most of the strategy's trades are losing.
What can you see? The fact that the reduction of the number of deals leads to the stability of TS on history is clear.
ZS: I made mistakes in my codes a couple of times, as a result of which EA traded only in one direction (Buy/Sell only) the same profitability increased.
Of course, I do my tests on history. The frequencies are selected on one period, while trading at given frequencies is performed on another timeframe. There is no result fitting. The results show that the number of losing trades has decreased! (I.e. out of 98 trades, the system left only 16 profitable ones)
During the test, the trading is both buy and sell. There are periods when the EA only starts to buy, this is due to the fact that there are no necessary frequencies for sell in the market.
Do you mean ". .. ... with different methods"?
Or the methodology is the same but different parameters, i.e. input vectors?
And another question about the histogram:
Does it turn out that the TS shows the strongly profitable result at the studied period (3 months)?
How many deals were there in three months?
And could you attach the activity spectrum by number of deals (like in DC2008)...
All the same, different frequency calculation vectors. As I wrote above, in one case we are looking for frequency fluctuations upwards, in the other case we are looking for frequency fluctuations downwards. In the third case we have both of them.
With the same strategy I took a longer period for the test. I'll post it now.
Here is another result of optimising the same strategy. As Mathemat recommended. I took a longer period. (I should say right away: it does not make sense to take a year or two or 5 for optimization. The frequencies change from time to time. Profitable ones become profitable, profitable ones - unprofitable.)
This time.
Optimization was performed for the period: November 1, 2010 - March 1, 2011. (4 months) Select frequencies.
Test with application of filtering: 1 March 2011 - 5 June 2011. (3 months) Test selected frequencies on new data.
Test without filtering
With filtering
Out of 265 trades 147 remained. The percentage value of profitable deals has risen from 24 to 35. (It is not as high as in the previous test), but the result is higher. (probably due to the long period of testing)
AFC spectrum (up to 74 frequencies) 512 frequencies do not fit into the screen horizontally =) . Red are highs, green are lows. Blue - activity.
In the staple are full stats with transactions.
Or you can take a publicly available indicator without using mysterious quantum frequencies and obtain this balance curve for the period 08.08.08 to today.
Or you can take a publicly available indicator without using mysterious quantum frequencies and obtain this balance curve for the period 08.08.08 to today.
I.e. the frequency is simply the difference of Close on neighbouring bars?